WPF DataGrid - on row selection/lose focus prevent color change

You have to customize the IsSelected property trigger / multi-trigger for the DataGridCell style, as below:

<Style x:Key="DataGridCellStyle1" TargetType="{x:Type DataGridCell}">
        <Setter Property="Background" Value="Transparent"/>
        <Setter Property="BorderBrush" Value="Transparent"/>
        <Setter Property="BorderThickness" Value="1"/>
        <Setter Property="Template">
            <Setter.Value>
                <ControlTemplate TargetType="{x:Type DataGridCell}">
                    <Border BorderBrush="{TemplateBinding BorderBrush}" BorderThickness="{TemplateBinding BorderThickness}" Background="{TemplateBinding Background}" SnapsToDevicePixels="True">
                        <ContentPresenter SnapsToDevicePixels="{TemplateBinding SnapsToDevicePixels}"/>
                    </Border>
                </ControlTemplate>
            </Setter.Value>
        </Setter>
        <Style.Triggers>
            <Trigger Property="IsSelected" Value="True">
                <Setter Property="Background" Value="Red"/>
                <Setter Property="Foreground" Value="White"/>
                <Setter Property="BorderBrush" Value="{DynamicResource {x:Static SystemColors.HighlightBrushKey}}"/>
            </Trigger>
            <Trigger Property="IsKeyboardFocusWithin" Value="True">
                <Setter Property="BorderBrush" Value="{DynamicResource {x:Static DataGrid.FocusBorderBrushKey}}"/>
            </Trigger>
            <MultiTrigger>
                <MultiTrigger.Conditions>
                    <Condition Property="IsSelected" Value="true"/>
                    <Condition Property="Selector.IsSelectionActive" Value="false"/>
                </MultiTrigger.Conditions>
                <Setter Property="Background" Value="Red"/>
                <Setter Property="Foreground" Value="White"/>
                <Setter Property="BorderBrush" Value="{DynamicResource {x:Static SystemColors.InactiveSelectionHighlightBrushKey}}"/>
            </MultiTrigger>
            <Trigger Property="IsEnabled" Value="false">
                <Setter Property="Foreground" Value="{DynamicResource {x:Static SystemColors.GrayTextBrushKey}}"/>
            </Trigger>
        </Style.Triggers>
    </Style>

And then apply your custom style:

  <DataGrid ItemsSource="{Binding Data}" CellStyle="{DynamicResource DataGridCellStyle1}"/>

MainWindow.xaml:

<Window x:Class="WpfApplication333.MainWindow"
    xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
    xmlns:d="http://schemas.microsoft.com/expression/blend/2008"
    xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006"
    xmlns:local="clr-namespace:WpfApplication333"
    mc:Ignorable="d"
    Title="MainWindow" 
    Height="300" 
    Width="300">

<Window.Resources>

    <Style x:Key="DataGridCellStyle1" TargetType="{x:Type DataGridCell}">
        <Setter Property="Background" Value="Transparent"/>
        <Setter Property="BorderBrush" Value="Transparent"/>
        <Setter Property="BorderThickness" Value="1"/>
        <Setter Property="Template">
            <Setter.Value>
                <ControlTemplate TargetType="{x:Type DataGridCell}">
                    <Border BorderBrush="{TemplateBinding BorderBrush}" BorderThickness="{TemplateBinding BorderThickness}" Background="{TemplateBinding Background}" SnapsToDevicePixels="True">
                        <ContentPresenter SnapsToDevicePixels="{TemplateBinding SnapsToDevicePixels}"/>
                    </Border>
                </ControlTemplate>
            </Setter.Value>
        </Setter>
        <Style.Triggers>
            <Trigger Property="IsSelected" Value="True">
                <Setter Property="Background" Value="Red"/>
                <Setter Property="Foreground" Value="White"/>
                <Setter Property="BorderBrush" Value="{DynamicResource {x:Static SystemColors.HighlightBrushKey}}"/>
            </Trigger>
            <Trigger Property="IsKeyboardFocusWithin" Value="True">
                <Setter Property="BorderBrush" Value="{DynamicResource {x:Static DataGrid.FocusBorderBrushKey}}"/>
            </Trigger>
            <MultiTrigger>
                <MultiTrigger.Conditions>
                    <Condition Property="IsSelected" Value="true"/>
                    <Condition Property="Selector.IsSelectionActive" Value="false"/>
                </MultiTrigger.Conditions>
                <Setter Property="Background" Value="Red"/>
                <Setter Property="Foreground" Value="White"/>
                <Setter Property="BorderBrush" Value="{DynamicResource {x:Static SystemColors.InactiveSelectionHighlightBrushKey}}"/>
            </MultiTrigger>
            <Trigger Property="IsEnabled" Value="false">
                <Setter Property="Foreground" Value="{DynamicResource {x:Static SystemColors.GrayTextBrushKey}}"/>
            </Trigger>
        </Style.Triggers>
    </Style>

</Window.Resources>

<Window.DataContext>
    <local:MyViewModel/>
</Window.DataContext>

<Grid>

    <DataGrid x:Name="dataGrid" ItemsSource="{Binding Data}" HorizontalAlignment="Left" Margin="8,7,0,0" VerticalAlignment="Top" Height="248" Width="113" CellStyle="{DynamicResource DataGridCellStyle1}"/>
    <TextBox x:Name="textBox" HorizontalAlignment="Left" Height="23" Margin="143,116,0,0" TextWrapping="Wrap" Text="TextBox" VerticalAlignment="Top" Width="120"/>

</Grid>